It comes with the Omega Headers or you can download it from Clooties Site here:

http://www.clootie.ru/delphi/download_dx81.html

Look for the Download "Clootie_DX81_dlls.zip" this should include the DLL. You should then be able to run the Exe.

If you want to be able to compile it you will have to install the Omega headers.

Firle